The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity
发现，以往研究未发现货币冲击降低利率，是因为忽略了利率的条件异方差。使用ARCH模型能显著捕捉到流动性效应，而普通最小二乘法则不能。
ABSTRACT Most current empirical work finds no evidence that money shocks lower interest rates. We show that these nonresults are mainly due to a failure to model the conditional heteroskedasticity of interest rates. Autoregressive conditional heteroskedasticity (ARCH) models find a significant liquidity effect where ordinary least squares (OLS) models do not. The existence of a liquidity effect is found using different models and sample periods when ARCH models are used in estimation, but never when OLS is employed.